ALM Simulation

Interest rate risk management, mid to long term simulation service

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ALM Simulation Services

ALM

Professional
NIA
  • Capital management service

ALM

Enterprise
NIA
  • Enterprise management service

ALM

ALM Professional

ALM Professional

Scenario Generation

  • Market Scenario
  • Standard Scenario (No change of point-in-time environment)
  • Forward Scenario (Point-in-time yield forward rate will be actualized)
  • User customizable scenarios (Scenario analysis, Stress Test analysis)

Portfolio Analysis/Evaluations

  • Balance information : End-of-period book value, End-of-period market value
  • PL information:Income PL, Capital PL
  • Ladder information:Principal ladder, Cash flow ladder
  • Risk information:BP, EXPOSURE
  • Fair value, Market value adjusting feature

Available Financial Instruments

  • Interest rate related (Deposit and loan transactions, Debt, Swap and more)
  • Spot・Forward related (Stocks, Fund, Forward exchange and more)

Display Functions

  • Instant and hierarchized OLAP (Online Analytical Processing) display of Contract based aggregation
  • Balance information (End-of-period book value, End-of-period market value, interest and dividends, and more)
  • Ladder information, Risk information
  • Contract based information (General journal, Cash flow table)

ALM Enterprise

ALM Enterprise

ALM Professional with additional functions

Analytical features on financial values

  • Display by Balance Sheet (BS), Income Statement (PL), Financial Accounting Indicators, Business units
  • Multiperiod settings
  • Account processing:Double-entry accounting can be set for each transaction (Historical cost/Mark-to-market accounting, Amortization/Accumulation, Impairment loss, Allowance, and more)
  • Multistage Transfer Pricing
  • Closing account (Auto execution of closing account, Appropriation of retained earnings, delivery of dividends)
  • Financial accounting indicators (Definable by formula feature)

Scenario Generations

  • Derivative Interest Rate feature
  • Credit Scenario
  • Integrated Scenario (Market and Credit)

Display Functions

  • Future BS, PL and Financial accounting indicators

Feature Comparison

  ALM
  Professional Enterprise
Analysis by financial value Balance Sheet (BS), Profit and Loss Statement (P&L), Financial accounting indicators  
Multiperiod setting Set any interval and any number of Close Dates  
Accounting Historical cost/Mark-to-market accounting, Amortization/Accumulation, Impairment loss, Allowance, and more  
Multistage Transfer Pricing Up to 5 TP stage settings for each transaction, Profit and loss management by business units  
Closing account Auto execution of closing account, Appropriation of retained earnings, delivery of dividends and more  
Financial accounting indicators Indicator definitions are customizable by formulas  
Scenario Generation Market Scenario
Standard Scenario Scenario where the initial market environment does not change
Forward Scenario Scenario where the initial yield forward realizes
External Scenario provided by User Scenario analysis, Stress test analysis
Derivative Interest Rate Support derivative interest rate calculated based on base rate such as short-term prime rate. Definable by historical average/lag logics.  
Credit Scenario Fundamental theory:Merton model(Merton[1974])  
Integrated Scenario (Market + Credit)  
Portfolio Analysis/Evaluations Balance information Book value balance, Fair value balance
Profit and Loss information Income P&L, Capital P&L
Ladder information Principal ladder, Cash flow ladder
Risk information BPV, EXPOSURE
Fair value adjustment Spread auto-calculation to adjust to initial fair value for interest related instruments
Fair Value Fair value calculation method can be set for every transaction if it is interest related products
Available Financial Instruments Interest rate related Deposit and loan transactions, Debt, Swap and more
Spot・Forward related Stocks, Fund, Forward exchange and more
Display functions Financial Statements Future BS, P&L, Financial accounting indicators  
Hierarchized OLAP (Online Analytical Processing) display Aggregation by obligors/contracts
Balance information End-of-period book value, End-of-period market value, interest and dividends, and more
Ladder information, Risk information
Contract based information General Journal, Cash flow table and more